Slippage-with-market-on-open-orders

Do you have "Use MOO" enabled in the Trading Preferences AND did you place the order more than 5 minutes before the open?

If the order is actually placed as a MOO order...
1. There is no slippage for MOO orders.
2. A MOO order executes at the primary exchange's open price.
3. Only Wealth-Data uses the primary market opening price for its data. If you use any other source, you're not comparing to the primary market open price.

Many thanks for your reply. So I was right in thinking that there should be no slippage. I placed the orders at the weekend. It was noticeable that the OPG addition was missing when the order was transmitted via WealthLab (use MMO was enabled). I deleted these orders in the TWS and entered the orders manually with the OPG addition. I suspect that this was due to the weekend, but I don't know for sure. I compared today's open price in the TWS with the execution price. This resulted in these differences. I have already written to IB. If their answer is helpful, I will post it here.

That explains it. To get the OPG order via WealthLab, you need to place the order before the open on the same day. There are several rules for MOO orders, they vary by exchange, but one of them is that you can't place a MOO while the market is open - you can't even place one now after the regular session is closed.

Long story short - we've simplified that by default and require that MOO orders for U.S. Stocks be placed on the same day at least 2 minutes before the opening bell..

But keep in mind that the limit for NYSE is 5 minutes before (as I recall).

Here's the Help guidance for that preference -

Many thanks for the tip. I also think that this was the problem. I'll know more tomorrow. I won't place my orders until tomorrow morning, then it should be fine. I hope that the problem will no longer occur.

I have an update. The price display at IB from yesterday (during the trading session) must have been different. Today is the daily candle from yesterday with a different open price to the price during the session from yesterday. Now, all three open prices are the same with my fills. So there is no problem. If OPG is in the TWS, then it is also executed at the open price. Thank you very much for your advice.

Like I said, if you're using candles that are not from Wealth-Data (i.e., from an IB or any other provider's chart) to get the opening price, it won't always be correct for the MOO comparison. For Nasdaq stocks, it will be correct about 90% of the time, but certainly not for NYSE.

If you want to find the primary market's opening price, then you must use Wealth-Data (for the stocks it covers) or pull up a Time-of-Sales report to find the primary market open.

Example - Any data provider's data from yesterday will show 90.90 (first full-lot trade after 09:30:00) as the opening price. Wealth-Data, however, will have 90.93 - the result of the opening auction in which MOO orders participate.

Edit - oddly, IB's daily chart data is completely wrong (the TOS below is correct). It's probably not corrected for Regular Market hours.. I'll investigate to see if our requests have the correct parameters.

Indeed, the 95.10 open currently in IB's Daily chart reflects this first full-lot 325-share trade during premarket hours.



All of our historical requests have "use realtime hours" set to false. We'll change that in the next IB Provider build to "use RTH" for Daily+ requests.

@Cone: Many thanks for the detailed explanation :-)

@Cone: does this mean that for auto trading strategies that use MOO orders, the run should be scheduled a few minutes before market open?

Well, yes. Since it's only an option for EOD strategies, you can scheduled them to run any time before (even hours before) 09:25 EST.